Unexpected Default in an Information Based Model
Probability
2016-11-10 v1 Mathematical Finance
Abstract
This paper provides sufficient conditions for the time of bankruptcy (of a company or a state) for being a totally inaccessible stopping time and provides the explicit computation of its compensator in a framework where the flow of market information on the default is modelled explicitly with a Brownian bridge between 0 and 0 on a random time interval.
Keywords
Cite
@article{arxiv.1611.02952,
title = {Unexpected Default in an Information Based Model},
author = {Matteo Ludovico Bedini and Rainer Buckdahn and Hans-Jürgen Engelbert},
journal= {arXiv preprint arXiv:1611.02952},
year = {2016}
}
Comments
22 pages, submitted